Remarks on a Multivariate Transformation
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This article is published in Annals of Mathematical Statistics.The article was published on 1952-09-01 and is currently open access. It has received 2735 citations till now. The article focuses on the topics: Transformation (function).read more
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Bayesian estimation of generalized hyperbolic skewed student GARCH models
TL;DR: Efficient posterior simulators for two GARCH models with generalized hyperbolic disturbances are presented and a Markov switching extension of GHt-GARCH is found to be an empirical improvement over the single-regime model for one of the five data sets.
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Discrepancy bounds for deterministic acceptance-rejection samplers
Houying Zhu,Josef Dick +1 more
TL;DR: In this article, the authors consider an acceptance-rejection sampler based on a deterministic driver sequence, where the deterministic sequence is chosen such that the discrepancy between the empirical target distribution and the target distribution is small.
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Modified environmental contour method to determine the long-term extreme responses of a semi-submersible wind turbine
Qinyuan Li,Zhen Gao,Torgeir Moan +2 more
TL;DR: In this article, the modified environmental contour method (MECM) was used for long-term extreme response prediction for the OC4 DeepCwind 5MW semi-submersible wind turbine with the environmental conditions at two different locations in the North Sea.
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The SCoD Model: Analyzing Durations with a Semiparametric Copula Approach
Cornelia Savu,Wing Lon Ng +1 more
TL;DR: In this article, a new methodology for modeling order durations of ultra-high-frequency data using copulas is proposed. But the model is not suitable for modeling the dynamic duration process by separating the marginal distributions of waiting times from their temporal dependence structure.